geomasianmc: Geometric Asian option prices computed by Monte Carlo
Description
Geometric average Asian option prices
Usage
geomasianmc(s, k, v, r, tt, d, m, numsim, printsds=FALSE)
Value
Array of geometric average option prices, along with
vanilla European option prices implied by the the
simulation. Optionally returns Monte Carlo standard
deviations. Note that exact solutions for these prices exist,
the purpose is to see how the Monte Carlo prices behave.
Arguments
s
Price of underlying asset
k
Strike price of the option. In the case of average strike
options, k/s is the multiplier for the average
v
Volatility of the underlygin asset price, defined as the
annualized standard deviation of the continuously-compounded
return